Securitization and Loan Performance: Ex Ante and Ex Post Relations in the Mortgage Market
利用一家大型全国性抵押贷款机构的全面数据，研究发现银行资产负债表上保留的贷款事后违约率高于已出售贷款，这与事前筛选努力与贷款出售概率的负相关关系形成对比。
This study examines the relation between securitization and loan performance using a comprehensive dataset from a major national mortgage lender. Loans remaining on the bank's balance sheet ex post incurred higher delinquency rates than sold loans, contrasting the negative relation between screening efforts and ex ante probability of loan sale explored by prior studies. Moreover, the performance gap between sold and retained loans was wider among the subsample of loans that were perceived as easier to resell. The investors'seeming advantage over the originating bank can mostly be explained by information revealed during the time between loan origination and sale.